SCHEDULE OF INVESTMENTS
ROYCE VALUE TRUST
MARCH 31, 2021 (UNAUDITED)
| SHARES | VALUE | |||||||
| COMMON STOCKS – 101.3% | ||||||||
| Communication Services – 2.3% | ||||||||
| Diversified Telecommunication Services - 1.2% | ||||||||
| Bandwidth Cl. A 1 | 157,820 | $ | 20,002,107 | |||||
| Cogent Communications Holdings 2 | 11,448 | 787,165 | ||||||
| Liberty Latin America Cl. C 1,2 | 319,528 | 4,147,473 | ||||||
| 24,936,745 | ||||||||
| Entertainment - 0.3% | ||||||||
| IMAX Corporation 1 | 350,000 | 7,035,000 | ||||||
| Marcus Corporation (The) 1 | 6,051 | 120,959 | ||||||
| World Wrestling Entertainment Cl. A | 5,957 | 323,227 | ||||||
| 7,479,186 | ||||||||
| Interactive Media & Services - 0.6% | ||||||||
| Enthusiast Gaming Holdings 1 | 81,250 | 603,864 | ||||||
| Eventbrite Cl. A 1 | 377,900 | 8,374,264 | ||||||
| QuinStreet 1,2,3 | 199,354 | 4,046,886 | ||||||
| 13,025,014 | ||||||||
| Media - 0.2% | ||||||||
| AMC Networks Cl. A 1 | 9,844 | 523,307 | ||||||
| comScore 1,2 | 404,910 | 1,481,971 | ||||||
| Gannett Company 1 | 113,777 | 612,120 | ||||||
| Meredith Corporation 1 | 27,849 | 829,343 | ||||||
| 3,446,741 | ||||||||
| Wireless Telecommunication Services - 0.0% | ||||||||
| Shenandoah Telecommunications | 8,445 | 412,200 | ||||||
| Total | 49,299,886 | |||||||
| Consumer Discretionary – 11.5% | ||||||||
| Auto Components - 2.3% | ||||||||
| Cooper Tire & Rubber | 11,799 | 660,508 | ||||||
| Cooper-Standard Holdings 1 | 892 | 32,397 | ||||||
| Dorman Products 1,2 | 31,800 | 3,263,952 | ||||||
| Fox Factory Holding Corporation 1 | 1,000 | 127,060 | ||||||
| Gentex Corporation 2 | 150,660 | 5,374,042 | ||||||
| LCI Industries 2 | 120,495 | 15,939,079 | ||||||
| Motorcar Parts of America 1 | 11,274 | 253,665 | ||||||
| Patrick Industries 2 | 252,532 | 21,465,220 | ||||||
| Standard Motor Products 2 | 5,794 | 240,915 | ||||||
| Superior Industries International 1 | 30,572 | 173,649 | ||||||
| 47,530,487 | ||||||||
| Automobiles - 0.0% | ||||||||
| Winnebago Industries | 5,800 | 444,918 | ||||||
| Distributors - 0.2% | ||||||||
| Core-Mark Holding Company 2 | 8,226 | 318,264 | ||||||
| LKQ Corporation 1,2 | 99,100 | 4,194,903 | ||||||
| 4,513,167 | ||||||||
| Diversified Consumer Services - 0.3% | ||||||||
| American Public Education 1 | 20,401 | 726,888 | ||||||
| Perdoceo Education 1 | 47,739 | 570,958 | ||||||
| Regis 1 | 33,660 | 422,770 | ||||||
| Universal Technical Institute 1 | 639,032 | 3,731,947 | ||||||
| 5,452,563 | ||||||||
| Hotels, Restaurants & Leisure - 1.5% | ||||||||
| Century Casinos 1 | 80,205 | 823,706 | ||||||
| Denny's Corporation 1 | 30,000 | 543,300 | ||||||
| Hilton Grand Vacations 1 | 260,100 | 9,751,149 | ||||||
| Hyatt Hotels Cl. A 1 | 2,729 | 225,688 | ||||||
| Lindblad Expeditions Holdings 1,2 | 373,700 | 7,062,930 | ||||||
| Red Robin Gourmet Burgers 1 | 1,543 | 61,550 | ||||||
| Ruth's Hospitality Group 1 | 19,871 | 493,397 | ||||||
| Scientific Games 1 | 293,300 | 11,297,916 | ||||||
| 30,259,636 | ||||||||
| Household Durables - 0.4% | ||||||||
| Cavco Industries 1,2,3 | 14,700 | 3,316,467 | ||||||
| Century Communities 1 | 7,624 | 459,879 | ||||||
| Ethan Allen Interiors 2 | 22,059 | 609,049 | ||||||
| Helen of Troy 1 | 1,000 | 210,660 | ||||||
| La-Z-Boy | 27,364 | 1,162,423 | ||||||
| Meritage Homes 1 | 17,412 | 1,600,511 | ||||||
| Skyline Champion 1 | 13,900 | 629,114 | ||||||
| 7,988,103 | ||||||||
| Internet & Direct Marketing Retail - 0.5% | ||||||||
| Magnite 1 | 10,200 | 424,422 | ||||||
| PetMed Express | 2,420 | 85,123 | ||||||
| Shutterstock | 15,931 | 1,418,496 | ||||||
| Stamps.com 1 | 38,323 | 7,645,822 | ||||||
| 9,573,863 | ||||||||
| Leisure Products - 1.1% | ||||||||
| Brunswick Corporation | 231,600 | 22,087,692 | ||||||
| Johnson Outdoors Cl. A | 1,990 | 284,073 | ||||||
| MasterCraft Boat Holdings 1 | 36,368 | 967,025 | ||||||
| Sturm, Ruger & Company | 2,017 | 133,263 | ||||||
| YETI Holdings 1 | 4,772 | 344,586 | ||||||
| 23,816,639 | ||||||||
| Multiline Retail - 0.0% | ||||||||
| Big Lots | 11,018 | 752,529 | ||||||
| Specialty Retail - 4.1% | ||||||||
| America's Car-Mart 1,2,3 | 108,300 | 16,501,671 | ||||||
| Asbury Automotive Group 1 | 20,013 | 3,932,555 | ||||||
| AutoCanada 1 | 1,058,500 | 25,773,932 | ||||||
| Barnes & Noble Education 1 | 14,332 | 116,663 | ||||||
| Buckle (The) | 37,392 | 1,468,758 | ||||||
| Caleres | 3,803 | 82,905 | ||||||
| Camping World Holdings Cl. A 2,3 | 348,913 | 12,693,455 | ||||||
| CarMax 1 | 7,000 | 928,620 | ||||||
| Cato Corporation (The) Cl. A 1 | 40,302 | 483,624 | ||||||
| Chico's FAS 1 | 10,856 | 35,933 | ||||||
| Children's Place (The) 1 | 1,559 | 108,662 | ||||||
| Genesco 1 | 4,412 | 209,570 | ||||||
| Haverty Furniture | 13,902 | 517,015 | ||||||
| Hibbett Sports 1 | 13,132 | 904,664 | ||||||
| MarineMax 1 | 9,402 | 464,083 | ||||||
| Michaels Companies (The) 1 | 164,595 | 3,611,214 | ||||||
| ODP 1 | 14,423 | 624,372 | ||||||
| OneWater Marine Cl. A 1 | 331,300 | 13,238,748 | ||||||
| Rent-A-Center | 24,823 | 1,431,294 | ||||||
| Shoe Carnival 2 | 13,647 | 844,476 | ||||||
| Sleep Number 1 | 10,764 | 1,544,526 | ||||||
| Zumiez 1 | 23,250 | 997,425 | ||||||
| 86,514,165 | ||||||||
| Textiles, Apparel & Luxury Goods - 1.1% | ||||||||
| G-III Apparel Group 1 | 24,253 | 730,985 | ||||||
| J G Boswell Company 4 | 3,940 | 2,809,220 | ||||||
| Kontoor Brands | 7,130 | 346,019 | ||||||
| Levi Strauss & Co. Cl. A | 21,004 | 502,206 | ||||||
| Movado Group | 13,936 | 396,479 | ||||||
| Ralph Lauren Cl. A 1 | 105,400 | 12,981,064 | ||||||
| Steven Madden | 22,890 | 852,881 | ||||||
| Vera Bradley 1 | 37,657 | 380,336 | ||||||
| Wolverine World Wide 2 | 100,512 | 3,851,620 | ||||||
| 22,850,810 | ||||||||
| Total | 239,696,880 | |||||||
| Consumer Staples – 1.2% | ||||||||
| Food & Staples Retailing - 0.0% | ||||||||
| SpartanNash Company | 28,020 | 550,033 | ||||||
| Food Products - 0.7% | ||||||||
| John B. Sanfilippo & Son | 4,537 | 410,009 | ||||||
| Nomad Foods 1,2,3 | 143,600 | 3,943,256 | ||||||
| Seneca Foods Cl. A 1 | 215,620 | 10,153,546 | ||||||
| Tootsie Roll Industries 2 | 7,251 | 240,225 | ||||||
| 14,747,036 | ||||||||
| Household Products - 0.1% | ||||||||
| Central Garden & Pet 1 | 28,404 | 1,647,716 | ||||||
| Spectrum Brands Holdings | 7,248 | 616,080 | ||||||
| WD-40 Company | 493 | 150,947 | ||||||
| 2,414,743 | ||||||||
| Personal Products - 0.4% | ||||||||
| Inter Parfums 2 | 97,965 | 6,948,657 | ||||||
| USANA Health Sciences 1 | 2,925 | 285,480 | ||||||
| 7,234,137 | ||||||||
| Tobacco - 0.0% | ||||||||
| Universal Corporation | 6,700 | 395,233 | ||||||
| Vector Group | 18,389 | 256,527 | ||||||
| 651,760 | ||||||||
| Total | 25,597,709 | |||||||
| Diversified Investment Companies – 0.0% | ||||||||
| Closed-End Funds - 0.0% | ||||||||
| Eagle Point Credit | 42,054 | 503,807 | ||||||
| Eagle Point Income | 44 | 671 | ||||||
| Total | 504,478 | |||||||
| Energy – 3.5% | ||||||||
| Energy Equipment & Services - 2.1% | ||||||||
| Aspen Aerogels 1 | 20,350 | 413,919 | ||||||
| Bristow Group 1 | 238,278 | 6,166,635 | ||||||
| Computer Modelling Group | 1,333,624 | 6,101,964 | ||||||
| DMC Global 1 | 1,983 | 107,598 | ||||||
| Helmerich & Payne 2 | 126,339 | 3,406,099 | ||||||
| KLX Energy Services Holdings 1 | 2,388 | 38,280 | ||||||
| Newpark Resources 1 | 67,354 | 211,491 | ||||||
| Oil States International 1 | 18,753 | 113,081 | ||||||
| Pason Systems | 1,807,734 | 12,773,675 | ||||||
| ProPetro Holding Corp. 1 | 40,816 | 435,099 | ||||||
| RPC 1 | 115,746 | 625,028 | ||||||
| TGS-NOPEC Geophysical | 787,460 | 12,544,083 | ||||||
| 42,936,952 | ||||||||
| Oil, Gas & Consumable Fuels - 1.4% | ||||||||
| Bonanza Creek Energy 1 | 37,101 | 1,325,619 | ||||||
| Callon Petroleum 1 | 941 | 36,275 | ||||||
| Cimarex Energy | 110,600 | 6,568,534 | ||||||
| CONSOL Energy 1 | 90,400 | 878,688 | ||||||
| Diamondback Energy | 5,775 | 424,405 | ||||||
| Dorchester Minerals L.P. 2 | 279,148 | 3,813,162 | ||||||
| Dorian LPG 1 | 394,936 | 5,185,510 | ||||||
| EQT Corporation 1 | 377,200 | 7,008,376 | ||||||
| Renewable Energy Group 1 | 6,252 | 412,882 | ||||||
| REX American Resources 1 | 2,871 | 241,652 | ||||||
| Talos Energy 1 | 13,626 | 164,057 | ||||||
| World Fuel Services 2 | 100,913 | 3,552,137 | ||||||
| 29,611,297 | ||||||||
| Total | 72,548,249 | |||||||
| Financials – 14.1% | ||||||||
| Banks - 3.3% | ||||||||
| Ameris Bancorp | 15,274 | 802,038 | ||||||
| Bank of N.T. Butterfield & Son 2 | 258,416 | 9,876,659 | ||||||
| BankUnited | 12,675 | 557,066 | ||||||
| Boston Private Financial Holdings | 40,728 | 542,497 | ||||||
| Cadence Bancorporation Cl. A | 15,397 | 319,180 | ||||||
| Canadian Western Bank | 279,500 | 7,114,828 | ||||||
| Central Pacific Financial | 2,878 | 76,785 | ||||||
| CIT Group | 22,000 | 1,133,220 | ||||||
| Customers Bancorp | 25,017 | 796,041 | ||||||
| Dime Community Bancshares | 1,669 | 50,304 | ||||||
| Eagle Bancorp | 24,891 | 1,324,450 | ||||||
| Farmers & Merchants Bank of Long Beach 4 | 416 | 3,214,016 | ||||||
| Fauquier Bankshares 2 | 160,800 | 3,421,824 | ||||||
| FB Financial | 1,212 | 53,886 | ||||||
| First BanCorp. | 86,042 | 968,833 | ||||||
| First Bancshares (The) | 19,164 | 701,594 | ||||||
| First Citizens BancShares Cl. A | 17,919 | 14,976,163 | ||||||
| First Commonwealth Financial | 8,368 | 120,248 | ||||||
| First Financial Bancorp | 57,184 | 1,372,416 | ||||||
| First Hawaiian | 18,617 | 509,547 | ||||||
| First Midwest Bancorp | 25,714 | 563,394 | ||||||
| German American Bancorp | 11,559 | 534,257 | ||||||
| Glacier Bancorp | 6,703 | 382,607 | ||||||
| Great Western Bancorp | 20,682 | 626,458 | ||||||
| Hanmi Financial | 35,160 | 693,707 | ||||||
| HarborOne Bancorp | 63,400 | 853,998 | ||||||
| HBT Financial | 40,400 | 691,648 | ||||||
| Home BancShares | 22,327 | 603,945 | ||||||
| HomeTrust Bancshares | 23,700 | 577,095 | ||||||
| Independent Bank Group | 8,401 | 606,888 | ||||||
| National Bank Holdings Cl. A | 10,132 | 402,038 | ||||||
| Origin Bancorp | 14,464 | 613,418 | ||||||
| Pacific Premier Bancorp | 14,212 | 617,369 | ||||||
| Preferred Bank | 18,579 | 1,183,111 | ||||||
| Prosperity Bancshares | 1,488 | 111,436 | ||||||
| Signature Bank | 2,468 | 558,015 | ||||||
| Simmons First National Cl. A | 3,466 | 102,836 | ||||||
| Triumph Bancorp 1 | 32,050 | 2,480,349 | ||||||
| United Community Banks | 2,863 | 97,686 | ||||||
| Webster Financial 2 | 142,300 | 7,842,153 | ||||||
| Wintrust Financial | 11,000 | 833,800 | ||||||
| 68,907,803 | ||||||||
| Capital Markets - 5.9% | ||||||||
| Ares Management Cl. A 2,3 | 187,200 | 10,488,816 | ||||||
| Artisan Partners Asset Management Cl. A 2 | 65,330 | 3,408,266 | ||||||
| ASA Gold and Precious Metals | 199,821 | 3,986,449 | ||||||
| Ashmore Group | 548,400 | 2,959,077 | ||||||
| Barings BDC | 191,594 | 1,912,108 | ||||||
| Blucora 1 | 5,600 | 93,184 | ||||||
| Bolsa Mexicana de Valores | 1,723,106 | 3,469,058 | ||||||
| BrightSphere Investment Group | 22,293 | 454,331 | ||||||
| Donnelley Financial Solutions 1 | 13,973 | 388,869 | ||||||
| Fiera Capital Cl. A | 33,600 | 266,565 | ||||||
| Focus Financial Partners Cl. A 1,2 | 50,000 | 2,081,000 | ||||||
| GCM Grosvenor Cl. A | 1,291,237 | 15,365,720 | ||||||
| Golub Capital BDC | 2,354 | 34,416 | ||||||
| Houlihan Lokey Cl. A 2 | 59,230 | 3,939,387 | ||||||
| Lazard Cl. A 2 | 134,435 | 5,849,267 | ||||||
| Moelis & Company Cl. A | 21,000 | 1,152,480 | ||||||
| Morningstar 2 | 58,700 | 13,209,848 | ||||||
| Oaktree Specialty Lending | 5,526 | 34,261 | ||||||
| Open Lending 1 | 361,300 | 12,797,246 | ||||||
| Portman Ridge Finance | 32,829 | 70,911 | ||||||
| Rothschild & Co 1 | 50,293 | 1,816,541 | ||||||
| SEI Investments 2 | 306,400 | 18,668,952 | ||||||
| Silvercrest Asset Management Group Cl. A | 21,168 | 304,396 | ||||||
| Sprott | 256,480 | 9,743,260 | ||||||
| Tel Aviv Stock Exchange | 332,179 | 2,046,869 | ||||||
| TMX Group | 76,000 | 7,897,541 | ||||||
| Waddell & Reed Financial Cl. A | 55,147 | 1,381,432 | ||||||
| 123,820,250 | ||||||||
| Consumer Finance - 0.1% | ||||||||
| Enova International 1 | 47,708 | 1,692,680 | ||||||
| Diversified Financial Services - 0.6% | ||||||||
| Banco Latinoamericano de Comercio Exterior Cl. E | 73,446 | 1,111,238 | ||||||
| Compass Diversified Holdings | 28,065 | 649,705 | ||||||
| ECN Capital | 1,023,900 | 6,379,515 | ||||||
| Equitable Holdings | 65,000 | 2,120,300 | ||||||
| Onex Corporation | 9,200 | 572,191 | ||||||
| Waterloo Investment Holdings 1,5 | 2,972,000 | 743,000 | ||||||
| 11,575,949 | ||||||||
| Insurance - 2.9% | ||||||||
| Alleghany Corporation 1 | 350 | 219,202 | ||||||
| Ambac Financial Group 1 | 53,000 | 887,220 | ||||||
| American Equity Investment Life Holding | 23,378 | 737,108 | ||||||
| AMERISAFE | 13,723 | 878,272 | ||||||
| Assured Guaranty | 84,171 | 3,558,750 | ||||||
| Axis Capital Holdings | 11,275 | 558,902 | ||||||
| E-L Financial | 21,650 | 15,935,585 | ||||||
| Employers Holdings | 13,509 | 581,698 | ||||||
| Erie Indemnity Cl. A | 28,200 | 6,229,662 | ||||||
| Fidelity National Financial | 446 | 18,134 | ||||||
| First American Financial | 40,397 | 2,288,490 | ||||||
| Independence Holding Company 2 | 170,023 | 6,775,417 | ||||||
| Kinsale Capital Group | 45,900 | 7,564,320 | ||||||
| ProAssurance Corporation 2 | 254,503 | 6,810,500 | ||||||
| ProSight Global 1 | 103,410 | 1,302,966 | ||||||
| RenaissanceRe Holdings | 1,974 | 316,334 | ||||||
| RLI Corp. 2 | 43,490 | 4,852,179 | ||||||
| Safety Insurance Group | 5,652 | 476,181 | ||||||
| SiriusPoint 1 | 10,476 | 106,541 | ||||||
| Stewart Information Services | 19,804 | 1,030,402 | ||||||
| Universal Insurance Holdings | 20,104 | 288,291 | ||||||
| 61,416,154 | ||||||||
| Investment Companies - 0.4% | ||||||||
| ACE Convergence Acquisition Cl. A 1 | 487,150 | 4,856,885 | ||||||
| Jaws Acquisition (Units) 1 | 150,000 | 2,244,000 | ||||||
| 7,100,885 | ||||||||
| Thrifts & Mortgage Finance - 0.9% | ||||||||
| Axos Financial 1,2 | 34,267 | 1,610,892 | ||||||
| Essent Group | 10,000 | 474,900 | ||||||
| Flagstar Bancorp | 36,783 | 1,658,913 | ||||||
| Meridian Bancorp 2 | 82,500 | 1,519,650 | ||||||
| Meta Financial Group | 1,848 | 83,733 | ||||||
| Mr. Cooper Group 1 | 3,189 | 110,850 | ||||||
| NMI Holdings Cl. A 1 | 109,149 | 2,580,282 | ||||||
| Provident Bancorp | 63,200 | 910,080 | ||||||
| Provident Financial Services | 4,035 | 89,900 | ||||||
| Sagen MI Canada | 48,895 | 1,690,529 | ||||||
| Territorial Bancorp | 9,300 | 246,078 | ||||||
| Timberland Bancorp 2 | 274,457 | 7,632,649 | ||||||
| TrustCo Bank Corp NY | 53,519 | 394,435 | ||||||
| Walker & Dunlop | 5,389 | 553,666 | ||||||
| 19,556,557 | ||||||||
| Total | 294,070,278 | |||||||
| Health Care – 6.1% | ||||||||
| Biotechnology - 0.9% | ||||||||
| Acorda Therapeutics 1 | 2,148 | 10,461 | ||||||
| Anika Therapeutics 1 | 9,391 | 383,059 | ||||||
| Catalyst Pharmaceuticals 1 | 67,210 | 309,838 | ||||||
| Coherus BioSciences 1 | 12,106 | 176,869 | ||||||
| Eagle Pharmaceuticals 1 | 13,959 | 582,649 | ||||||
| Emergent BioSolutions 1 | 830 | 77,115 | ||||||
| Enanta Pharmaceuticals 1 | 5,932 | 292,566 | ||||||
| PureTech Health 1 | 78,700 | 433,441 | ||||||
| United Therapeutics 1 | 33,000 | 5,519,910 | ||||||
| Vanda Pharmaceuticals 1 | 37,422 | 562,078 | ||||||
| Zealand Pharma 1 | 326,857 | 10,336,580 | ||||||
| 18,684,566 | ||||||||
| Health Care Equipment & Supplies - 3.3% | ||||||||
| Atrion Corporation | 8,296 | 5,320,308 | ||||||
| BioLife Solutions 1 | 72,700 | 2,617,200 | ||||||
| Cutera 1 | 14,500 | 435,725 | ||||||
| Haemonetics Corporation 1 | 75,000 | 8,325,750 | ||||||
| Hill-Rom Holdings | 1,081 | 119,429 | ||||||
| Inogen 1 | 8,200 | 430,664 | ||||||
| Integer Holdings 1,2 | 42,400 | 3,905,040 | ||||||
| Masimo Corporation 1,2 | 20,000 | 4,593,200 | ||||||
| Meridian Bioscience 1 | 241,446 | 6,337,957 | ||||||
| Mesa Laboratories 2,3 | 56,160 | 13,674,960 | ||||||
| Natus Medical 1 | 10,000 | 256,100 | ||||||
| Neogen Corporation 1,2 | 1,081 | 96,090 | ||||||
| OraSure Technologies 1 | 15,305 | 178,609 | ||||||
| Orthofix Medical 1 | 6,097 | 264,305 | ||||||
| SmileDirectClub Cl. A 1 | 1,093,088 | 11,269,737 | ||||||
| STAAR Surgical 1 | 5,150 | 542,862 | ||||||
| Surmodics 1,2 | 161,000 | 9,027,270 | ||||||
| Vapotherm 1 | 67,200 | 1,614,144 | ||||||
| 69,009,350 | ||||||||
| Health Care Providers & Services - 1.1% | ||||||||
| Community Health Systems 1 | 790,000 | 10,680,800 | ||||||
| CorVel Corporation 1 | 2,410 | 247,242 | ||||||
| Ensign Group (The) | 5,810 | 545,210 | ||||||
| Hims & Hers Health Cl. A 1 | 640,000 | 8,467,200 | ||||||
| Magellan Health 1 | 10,124 | 943,962 | ||||||
| MEDNAX 1 | 18,067 | 460,167 | ||||||
| ModivCare 1 | 2,652 | 392,814 | ||||||
| RadNet 1 | 4,582 | 99,659 | ||||||
| Sharps Compliance 1 | 54,300 | 780,291 | ||||||
| Tivity Health 1 | 1,622 | 36,203 | ||||||
| U.S. Physical Therapy | 5,188 | 540,071 | ||||||
| 23,193,619 | ||||||||
| Health Care Technology - 0.3% | ||||||||
| Computer Programs and Systems 1 | 9,089 | 278,123 | ||||||
| HealthStream 1 | 18,536 | 414,094 | ||||||
| NextGen Healthcare 1 | 19,477 | 352,534 | ||||||
| Schrodinger 1 | 6,250 | 476,813 | ||||||
| Simulations Plus | 71,368 | 4,513,312 | ||||||
| 6,034,876 | ||||||||
| Life Sciences Tools & Services - 0.4% | ||||||||
| Bio-Rad Laboratories Cl. A 1 | 6,331 | 3,616,077 | ||||||
| Bio-Techne 2,3 | 11,213 | 4,282,581 | ||||||
| Harvard Bioscience 1 | 28,750 | 156,975 | ||||||
| Medpace Holdings 1 | 568 | 93,181 | ||||||
| 8,148,814 | ||||||||
| Pharmaceuticals - 0.1% | ||||||||
| Aerie Pharmaceuticals 1 | 7,650 | 136,706 | ||||||
| Assertio Holdings 1 | 27,224 | 18,580 | ||||||
| Corcept Therapeutics 1 | 49,851 | 1,185,955 | ||||||
| Innoviva 1 | 76,172 | 910,255 | ||||||
| Lannett Company 1 | 52,692 | 278,214 | ||||||
| Supernus Pharmaceuticals 1 | 29,837 | 781,133 | ||||||
| 3,310,843 | ||||||||
| Total | 128,382,068 | |||||||
| Industrials – 24.4% | ||||||||
| Aerospace & Defense - 1.6% | ||||||||
| Aerojet Rocketdyne Holdings | 8,464 | 397,469 | ||||||
| AeroVironment 1 | 4,150 | 481,649 | ||||||
| Ducommun 1,2 | 79,100 | 4,746,000 | ||||||
| HEICO Corporation 2 | 51,030 | 6,419,574 | ||||||
| HEICO Corporation Cl. A 2 | 68,333 | 7,762,629 | ||||||
| Magellan Aerospace | 893,092 | 7,330,504 | ||||||
| National Presto Industries | 5,652 | 576,900 | ||||||
| Park Aerospace | 40,820 | 539,640 | ||||||
| Vectrus 1 | 17,550 | 937,872 | ||||||
| Virgin Galactic Holdings 1,2 | 161,918 | 4,959,548 | ||||||
| 34,151,785 | ||||||||
| Air Freight & Logistics - 0.3% | ||||||||
| Atlas Air Worldwide Holdings 1 | 8,044 | 486,179 | ||||||
| Echo Global Logistics 1 | 21,570 | 677,514 | ||||||
| Forward Air 2 | 65,112 | 5,782,597 | ||||||
| Hub Group Cl. A 1 | 2,184 | 146,939 | ||||||
| 7,093,229 | ||||||||
| Airlines - 0.3% | ||||||||
| Sun Country Airlines Holdings 1 | 214,071 | 7,338,354 | ||||||
| Building Products - 1.1% | ||||||||
| American Woodmark 1 | 2,467 | 243,197 | ||||||
| Apogee Enterprises | 16,733 | 684,045 | ||||||
| Builders FirstSource 1 | 69,475 | 3,221,556 | ||||||
| Burnham Holdings Cl. B 4 | 36,000 | 470,880 | ||||||
| CSW Industrials | 44,700 | 6,034,500 | ||||||
| Gibraltar Industries 1 | 11,760 | 1,076,158 | ||||||
| Insteel Industries | 18,774 | 578,990 | ||||||
| PGT Innovations 1 | 9,638 | 243,360 | ||||||
| Quanex Building Products | 48,203 | 1,264,365 | ||||||
| Simpson Manufacturing 2 | 29,462 | 3,056,093 | ||||||
| UFP Industries | 69,172 | 5,246,004 | ||||||
| 22,119,148 | ||||||||
| Commercial Services & Supplies - 1.2% | ||||||||
| ABM Industries | 14,902 | 760,151 | ||||||
| Brink's Company (The) | 5,735 | 454,384 | ||||||
| CompX International Cl. A 2 | 211,100 | 3,801,911 | ||||||
| Deluxe Corporation | 8,527 | 357,793 | ||||||
| Healthcare Services Group | 6,751 | 189,231 | ||||||
| Heritage-Crystal Clean 1,2 | 100,106 | 2,715,876 | ||||||
| Kimball International Cl. B 2 | 167,388 | 2,343,432 | ||||||
| Pitney Bowes | 34,416 | 283,588 | ||||||
| Ritchie Bros. Auctioneers 2 | 35,200 | 2,060,960 | ||||||
| Tetra Tech | 1,895 | 257,189 | ||||||
| UniFirst Corporation | 32,871 | 7,353,571 | ||||||
| US Ecology 1 | 713 | 29,689 | ||||||
| Vidler Water Resouces 1,2,3 | 406,960 | 3,621,944 | ||||||
| 24,229,719 | ||||||||
| Construction & Engineering - 3.8% | ||||||||
| APi Group 1 | 353,500 | 7,310,380 | ||||||
| Arcosa 2 | 160,678 | 10,458,531 | ||||||
| Comfort Systems USA 2 | 68,999 | 5,159,055 | ||||||
| EMCOR Group | 29,300 | 3,286,288 | ||||||
| IES Holdings 1,2 | 490,399 | 24,721,013 | ||||||
| Infrastructure and Energy Alternatives 1 | 600,000 | 9,780,000 | ||||||
| Matrix Service 1 | 30,381 | 398,295 | ||||||
| MYR Group 1 | 6,455 | 462,630 | ||||||
| Northwest Pipe 1 | 15,421 | 515,370 | ||||||
| Valmont Industries 2 | 69,361 | 16,485,029 | ||||||
| 78,576,591 | ||||||||
| Electrical Equipment - 0.9% | ||||||||
| AZZ | 26,773 | 1,348,021 | ||||||
| Encore Wire | 22,866 | 1,534,995 | ||||||
| GrafTech International | 19,417 | 237,470 | ||||||
| LSI Industries | 814,857 | 6,950,730 | ||||||
| Powell Industries 2 | 101,805 | 3,448,135 | ||||||
| Preformed Line Products 2 | 91,600 | 6,297,500 | ||||||
| Sensata Technologies Holding 1 | 1,500 | 86,925 | ||||||
| 19,903,776 | ||||||||
| Industrial Conglomerates - 0.6% | ||||||||
| Carlisle Companies | 8,519 | 1,402,057 | ||||||
| Raven Industries 1,2 | 278,525 | 10,675,863 | ||||||
| 12,077,920 | ||||||||
| Machinery - 8.3% | ||||||||
| Albany International Cl. A | 2,370 | 197,824 | ||||||
| Allison Transmission Holdings | 5,300 | 216,399 | ||||||
| Astec Industries | 705 | 53,171 | ||||||
| ATS Automation Tooling Systems 1 | 20,300 | 427,581 | ||||||
| Barnes Group | 1,345 | 66,631 | ||||||
| CIRCOR International 1 | 460,752 | 16,043,385 | ||||||
| Colfax 1,2 | 436,492 | 19,122,715 | ||||||
| Crane Company | 6,061 | 569,188 | ||||||
| ESCO Technologies 2 | 53,380 | 5,812,548 | ||||||
| Franklin Electric 2 | 75,561 | 5,964,785 | ||||||
| Greenbrier Companies (The) | 11,186 | 528,203 | ||||||
| Helios Technologies 2 | 192,514 | 14,028,495 | ||||||
| Hillenbrand | 21,346 | 1,018,418 | ||||||
| Hurco Companies | 22,800 | 804,840 | ||||||
| John Bean Technologies 2 | 132,631 | 17,685,018 | ||||||
| Kadant 2 | 127,289 | 23,549,738 | ||||||
| Lincoln Electric Holdings 2 | 52,600 | 6,466,644 | ||||||
| Lindsay Corporation 2,3 | 112,000 | 18,661,440 | ||||||
| Lydall 1 | 17,784 | 600,032 | ||||||
| Meritor 1 | 34,010 | 1,000,574 | ||||||
| Middleby Corporation (The) 1 | 78,600 | 13,027,950 | ||||||
| Miller Industries | 23,150 | 1,069,298 | ||||||
| Mueller Industries | 39,277 | 1,624,104 | ||||||
| NN 1 | 308,700 | 2,182,509 | ||||||
| Nordson Corporation 2 | 15,796 | 3,138,349 | ||||||
| Standex International | 624 | 59,636 | ||||||
| Tennant Company 2 | 80,500 | 6,431,145 | ||||||
| Wabash National | 75,067 | 1,411,260 | ||||||
| Watts Water Technologies Cl. A 2 | 55,000 | 6,534,550 | ||||||
| Woodward 2,3 | 48,500 | 5,850,555 | ||||||
| 174,146,985 | ||||||||
| Marine - 0.8% | ||||||||
| Clarkson | 376,686 | 14,280,723 | ||||||
| Kirby Corporation 1,2 | 41,200 | 2,483,536 | ||||||
| 16,764,259 | ||||||||
| Professional Services - 3.3% | ||||||||
| Exponent 2 | 96,000 | 9,355,200 | ||||||
| Forrester Research 1,2,3 | 124,597 | 5,292,880 | ||||||
| Heidrick & Struggles International | 53,986 | 1,928,380 | ||||||
| Jacobs Engineering Group 2 | 33,500 | 4,330,545 | ||||||
| KBR 2 | 647,400 | 24,853,686 | ||||||
| Kelly Services Cl. A 1 | 7,419 | 165,221 | ||||||
| Korn Ferry 2 | 85,864 | 5,355,338 | ||||||
| ManpowerGroup 2,3 | 9,300 | 919,770 | ||||||
| ManTech International Cl. A | 3,384 | 294,239 | ||||||
| Morneau Shepell | 17,500 | 461,069 | ||||||
| Resources Connection | 47,238 | 639,602 | ||||||
| TrueBlue 1,2 | 50,401 | 1,109,830 | ||||||
| Upwork 1 | 300,000 | 13,431,000 | ||||||
| 68,136,760 | ||||||||
| Road & Rail - 1.0% | ||||||||
| ArcBest | 25,461 | 1,791,691 | ||||||
| Landstar System 2 | 113,442 | 18,724,737 | ||||||
| Saia 1,2 | 2,854 | 658,075 | ||||||
| 21,174,503 | ||||||||
| Trading Companies & Distributors - 1.2% | ||||||||
| Air Lease Cl. A 2 | 126,120 | 6,179,880 | ||||||
| Applied Industrial Technologies | 13,202 | 1,203,626 | ||||||
| Boise Cascade | 26,964 | 1,613,256 | ||||||
| DXP Enterprises 1 | 11,411 | 344,270 | ||||||
| EVI Industries 1,2,3 | 69,873 | 2,010,246 | ||||||
| GMS 1 | 26,085 | 1,089,049 | ||||||
| Houston Wire & Cable 1,6 | 877,363 | 4,579,835 | ||||||
| Lawson Products 1 | 13,550 | 702,703 | ||||||
| MSC Industrial Direct Cl. A | 6,032 | 544,026 | ||||||
| SiteOne Landscape Supply 1,2 | 25,000 | 4,268,500 | ||||||
| Transcat 1 | 46,050 | 2,260,134 | ||||||
| 24,795,525 | ||||||||
| Total | 510,508,554 | |||||||
| Information Technology – 23.8% | ||||||||
| Communications Equipment - 0.2% | ||||||||
| ADTRAN 2 | 214,973 | 3,585,750 | ||||||
| CalAmp Corporation 1 | 3,116 | 33,808 | ||||||
| Comtech Telecommunications | 19,040 | 472,954 | ||||||
| Digi International 1 | 23,400 | 444,366 | ||||||
| NETGEAR 1 | 8,958 | 368,174 | ||||||
| 4,905,052 | ||||||||
| Electronic Equipment, Instruments & Components - 7.1% | ||||||||
| Avnet | 9,503 | 394,470 | ||||||
| Badger Meter | 2,878 | 267,855 | ||||||
| Bel Fuse Cl. B | 15,364 | 305,590 | ||||||
| Benchmark Electronics | 19,272 | 595,890 | ||||||
| Cognex Corporation 2 | 206,600 | 17,145,734 | ||||||
| Coherent 1 | 3,092 | 781,936 | ||||||
| Daktronics 1 | 8,143 | 51,057 | ||||||
| Dolby Laboratories Cl. A | 7,470 | 737,438 | ||||||
| Fabrinet 1,2,3 | 172,787 | 15,618,217 | ||||||
| FARO Technologies 1,2 | 266,647 | 23,083,631 | ||||||
| Insight Enterprises 1,2 | 32,955 | 3,144,566 | ||||||
| IPG Photonics 1 | 51,100 | 10,779,034 | ||||||
| Kimball Electronics 1 | 27,827 | 717,937 | ||||||
| Littelfuse 2,3 | 17,400 | 4,601,256 | ||||||
| Luna Innovations 1 | 84,380 | 888,521 | ||||||
| Methode Electronics | 14,889 | 625,040 | ||||||
| National Instruments 2 | 311,450 | 13,449,968 | ||||||
| nLIGHT 1,2 | 164,700 | 5,336,280 | ||||||
| OSI Systems 1 | 5,872 | 564,299 | ||||||
| PAR Technology 1,2 | 290,239 | 18,984,533 | ||||||
| PC Connection | 1,077 | 49,962 | ||||||
| Plexus Corporation 1 | 6,196 | 569,041 | ||||||
| Richardson Electronics 6 | 711,475 | 4,532,096 | ||||||
| Rogers Corporation 1 | 33,700 | 6,342,677 | ||||||
| Sanmina Corporation 1 | 30,602 | 1,266,311 | ||||||
| ScanSource 1 | 5,991 | 179,430 | ||||||
| TTM Technologies 1,2 | 579,037 | 8,396,037 | ||||||
| Vishay Intertechnology | 32,890 | 791,991 | ||||||
| Vishay Precision Group 1 | 14,950 | 460,610 | ||||||
| Vontier Corporation 1 | 219,987 | 6,659,006 | ||||||
| 147,320,413 | ||||||||
| IT Services - 3.1% | ||||||||
| BM Technologies Cl. A 1,5 | 1,776 | 16,680 | ||||||
| Cardtronics 1 | 8,723 | 338,452 | ||||||
| Cass Information Systems | 10,480 | 484,910 | ||||||
| Computer Services 4 | 88,535 | 5,179,297 | ||||||
| Computer Task Group 1 | 6,281 | 59,984 | ||||||
| CSG Systems International | 19,870 | 891,964 | ||||||
| EVERTEC | 19,129 | 711,981 | ||||||
| ExlService Holdings 1 | 1,297 | 116,938 | ||||||
| Hackett Group (The) 2 | 285,266 | 4,675,510 | ||||||
| International Money Express 1 | 858,434 | 12,885,094 | ||||||
| MAXIMUS | 5,100 | 454,104 | ||||||
| Repay Holdings Cl. A 1 | 517,500 | 12,150,900 | ||||||
| Shift4 Payments Cl. A 1 | 203,800 | 16,713,638 | ||||||
| Unisys Corporation 1,2 | 388,300 | 9,870,586 | ||||||
| 64,550,038 | ||||||||
| Semiconductors & Semiconductor Equipment - 9.3% | ||||||||
| Advanced Energy Industries 2 | 5,109 | 557,750 | ||||||
| Ambarella 1 | 4,050 | 406,580 | ||||||
| Axcelis Technologies 1 | 19,100 | 784,819 | ||||||
| Brooks Automation 2 | 243,400 | 19,873,610 | ||||||
| Camtek 1 | 155,050 | 4,635,995 | ||||||
| Cirrus Logic 1,2,3 | 289,600 | 24,555,184 | ||||||
| CMC Materials 2 | 71,028 | 12,557,040 | ||||||
| Cohu 1 | 13,880 | 580,739 | ||||||
| CyberOptics Corporation 1 | 17,200 | 446,684 | ||||||
| Diodes 1,2 | 185,284 | 14,793,075 | ||||||
| Entegris 2 | 53,100 | 5,936,580 | ||||||
| FormFactor 1 | 97,400 | 4,393,714 | ||||||
| Ichor Holdings 1 | 3,767 | 202,665 | ||||||
| Kulicke & Soffa Industries 2 | 344,777 | 16,931,998 | ||||||
| Lattice Semiconductor 1 | 299,500 | 13,483,490 | ||||||
| MagnaChip Semiconductor 1 | 35,200 | 876,480 | ||||||
| MKS Instruments | 286,829 | 53,183,833 | ||||||
| Nova Measuring Instruments 1,2,3 | 45,370 | 4,129,124 | ||||||
| NVE Corporation | 12,000 | 841,200 | ||||||
| Onto Innovation 1,2 | 12,468 | 819,272 | ||||||
| Photronics 1 | 211,922 | 2,725,317 | ||||||
| Power Integrations | 2,378 | 193,759 | ||||||
| Rambus 1 | 45,966 | 893,579 | ||||||
| SMART Global Holdings 1 | 15,697 | 722,376 | ||||||
| Tower Semiconductor 1 | 280,400 | 7,862,416 | ||||||
| Ultra Clean Holdings 1 | 11,855 | 688,064 | ||||||
| 193,075,343 | ||||||||
| Software - 3.8% | ||||||||
| Aspen Technology 1 | 14,700 | 2,121,651 | ||||||
| Blackbaud 1 | 28,800 | 2,047,104 | ||||||
| ChannelAdvisor Corporation 1 | 21,170 | 498,554 | ||||||
| Descartes Systems Group (The) 1,2,3 | 287,640 | 17,520,152 | ||||||
| E2open Parent Holdings Cl. A 1 | 100,000 | 996,000 | ||||||
| Ebix | 5,389 | 172,610 | ||||||
| Everbridge 1 | 60,000 | 7,270,800 | ||||||
| j2 Global 1,2 | 30,305 | 3,632,357 | ||||||
| Manhattan Associates 1,2 | 110,800 | 13,005,704 | ||||||
| MicroStrategy Cl. A 1 | 207 | 140,512 | ||||||
| Progress Software | 2,615 | 115,217 | ||||||
| SVMK 1,2 | 120,000 | 2,198,400 | ||||||
| Upland Software 1,2,3 | 645,500 | 30,461,145 | ||||||
| Xperi Holding Corporation 2 | 2,959 | 64,417 | ||||||
| 80,244,623 | ||||||||
| Technology Hardware, Storage & Peripherals - 0.3% | ||||||||
| Avid Technology 1 | 307,620 | 6,493,858 | ||||||
| Total | 496,589,327 | |||||||
| Materials – 11.0% | ||||||||
| Chemicals - 6.5% | ||||||||
| Atotech 1 | 137,349 | 2,781,317 | ||||||
| Chase Corporation 2,3 | 79,059 | 9,201,677 | ||||||
| Element Solutions 2 | 808,512 | 14,787,684 | ||||||
| FutureFuel Corporation | 586,768 | 8,525,739 | ||||||
| Hawkins 2 | 156,748 | 5,254,193 | ||||||
| Huntsman Corporation | 517,300 | 14,913,759 | ||||||
| Innospec 2 | 108,869 | 11,179,758 | ||||||
| Minerals Technologies 2 | 212,554 | 16,009,567 | ||||||
| Mosaic Company (The) | 603,000 | 19,060,830 | ||||||
| NewMarket Corporation | 8,000 | 3,041,280 | ||||||
| Quaker Chemical | 115,009 | 28,035,744 | ||||||
| Stepan Company | 2,205 | 280,278 | ||||||
| Tredegar Corporation | 31,388 | 471,134 | ||||||
| Trinseo | 23,363 | 1,487,522 | ||||||
| 135,030,482 | ||||||||
| Construction Materials - 0.2% | ||||||||
| Imerys | 90,000 | 4,382,146 | ||||||
| U.S. Concrete 1 | 7,682 | 563,244 | ||||||
| 4,945,390 | ||||||||
| Containers & Packaging - 0.1% | ||||||||
| Graphic Packaging Holding Company | 24,544 | 445,719 | ||||||
| Myers Industries | 22,914 | 452,781 | ||||||
| Silgan Holdings | 11,148 | 468,550 | ||||||
| UFP Technologies 1 | 6,660 | 331,801 | ||||||
| 1,698,851 | ||||||||
| Metals & Mining - 3.7% | ||||||||
| Alamos Gold Cl. A | 2,195,500 | 17,155,892 | ||||||
| Ferroglobe (Warranty Insurance Trust) 1,5 | 49,300 | 0 | ||||||
| Gold Fields ADR | 370,000 | 3,511,300 | ||||||
| Haynes International 2 | 113,900 | 3,379,413 | ||||||
| Hecla Mining | 321,300 | 1,828,197 | ||||||
| IAMGOLD Corporation 1 | 600,000 | 1,788,000 | ||||||
| Kaiser Aluminum | 833 | 92,047 | ||||||
| Lundin Mining | 640,000 | 6,584,865 | ||||||
| MAG Silver 1 | 198,900 | 2,985,489 | ||||||
| Major Drilling Group International 1 | 2,217,291 | 11,909,536 | ||||||
| Materion Corporation | 3,075 | 203,688 | ||||||
| Pan American Silver | 140,027 | 4,205,011 | ||||||
| Pretium Resources 1 | 101,000 | 1,048,015 | ||||||
| Reliance Steel & Aluminum 2 | 56,200 | 8,558,698 | ||||||
| Royal Gold 2 | 16,600 | 1,786,492 | ||||||
| SunCoke Energy | 128,919 | 903,722 | ||||||
| VanEck Vectors Junior Gold Miners ETF | 155,500 | 6,999,055 | ||||||
| Warrior Met Coal | 40,495 | 693,679 | ||||||
| Worthington Industries 2 | 64,300 | 4,313,887 | ||||||
| 77,946,986 | ||||||||
| Paper & Forest Products - 0.5% | ||||||||
| Clearwater Paper 1 | 8,132 | 305,926 | ||||||
| Glatfelter | 25,094 | 430,362 | ||||||
| Mercer International | 49,690 | 715,039 | ||||||
| Neenah | 8,143 | 418,388 | ||||||
| Schweitzer-Mauduit International | 31,795 | 1,557,001 | ||||||
| Stella-Jones | 153,286 | 6,218,286 | ||||||
| 9,645,002 | ||||||||
| Total | 229,266,711 | |||||||
| Real Estate – 3.4% | ||||||||
| Equity Real Estate Investment Trusts (REITs) - 0.0% | ||||||||
| New York REIT 1,5 | 15,000 | 180,300 | ||||||
| Real Estate Management & Development - 3.4% | ||||||||
| Colliers International Group | 69,900 | 6,866,976 | ||||||
| FirstService | 125,905 | 18,657,862 | ||||||
| FRP Holdings 1,2 | 76,558 | 3,768,185 | ||||||
| Jones Lang LaSalle 1 | 23,778 | 4,257,213 | ||||||
| Kennedy-Wilson Holdings 2 | 599,504 | 12,115,976 | ||||||
| Marcus & Millichap 1,2 | 253,564 | 8,545,107 | ||||||
| RMR Group (The) Cl. A 2 | 80,100 | 3,268,881 | ||||||
| St. Joe Company (The) 2 | 78,800 | 3,380,520 | ||||||
| Tejon Ranch 1,2 | 557,136 | 9,326,456 | ||||||
| 70,187,176 | ||||||||
| Total | 70,367,476 | |||||||
| Utilities – 0.0% | ||||||||
| Water Utilities - 0.0% | ||||||||
| American States Water | 12,642 | 955,988 | ||||||
| Total | 955,988 | |||||||
| TOTAL COMMON STOCKS | ||||||||
| (Cost $1,384,644,596) | 2,117,787,604 | |||||||
| WARRANTS – 0.1% | ||||||||
| Health Care – 0.1% | ||||||||
| Health Care Providers & Services - 0.1% | ||||||||
| Hims & Hers Health (Warrants) 1 | 266,666 | 1,173,330 | ||||||
| Total | 1,173,330 | |||||||
| TOTAL WARRANTS | ||||||||
| (Cost $645,854) | 1,173,330 | |||||||
| REPURCHASE AGREEMENT – 1.5% | ||||||||
| Fixed
Income Clearing Corporation, 0.00% dated 3/31/21, due 4/1/21, maturity value $30,122,852 (collateralized by obligations of various U.S. Government Agencies, 1.875% due 8/31/24, valued at $30,725,322) (Cost $30,122,852) | 30,122,852 | |||||||
| TOTAL INVESTMENTS – 102.9% | ||||||||
| (Cost $1,415,413,302) | 2,149,083,786 | |||||||
| LIABILITIES LESS CASH | ||||||||
| AND OTHER ASSETS – (2.9)% | (59,932,965 | ) | ||||||
| NET ASSETS – 100.0% | $ | 2,089,150,821 | ||||||
ADR – American Depository Receipt
| 1 | Non-income producing. |
| 3 | At March 31, 2021, a portion of these securities were rehypothecated in connection with the Fund's revolving credit agreement in the aggregate amount of $58,721,538. |
| 4 | These securities are defined as Level 2 securities due to fair value being based on quoted prices for similar securities. |
TAX INFORMATION: The cost of total investments for Federal income tax purposes was $1,416,319,935. At March 31, 2021, net unrealized appreciation for all securities was $732,763,851, consisting of aggregate gross unrealized appreciation of $796,068,250 and aggregate gross unrealized depreciation of $63,304,399. The primary cause of the difference between book and tax basis cost is the timing of the recognition of losses on securities sold.
Valuation of Investments:
Investment transactions are accounted for on the trade date. Securities are valued as of the close of trading on the New York Stock Exchange (NYSE) (generally 4:00 p.m. Eastern time) on the valuation date. Securities that trade on an exchange, and securities traded on Nasdaq’s Electronic Bulletin Board, are valued at their last reported sales price or Nasdaq official closing price taken from the primary market in which each security trades or, if no sale is reported for such day, at their highest bid price. Other over-the-counter securities for which market quotations are readily available are valued at their highest bid price, except in the case of some bonds and other fixed income securities which may be valued by reference to other securities with comparable ratings, interest rates and maturities, using established independent pricing services. The Fund values its non-U.S. dollar denominated securities in U.S. dollars daily at the prevailing foreign currency exchange rates as quoted by a major bank. Securities for which market quotations are not readily available are valued at their fair value in accordance with the provisions of the 1940 Act, under procedures approved by the Fund's Board of Directors, and are reported as Level 3 securities. As a general principle, the fair value of a security is the amount which the Fund might reasonably expect to receive for the security upon its current sale. However, in light of the judgment involved in fair valuations, there can be no assurance that a fair value assigned to a particular security will be the amount which the Fund might be able to receive upon its current sale. In addition, if, between the time trading ends on a particular security and the close of the customary trading session on the NYSE, events occur that are significant and may make the closing price unreliable, the Fund may fair value the security. The Fund uses an independent pricing service to provide fair value estimates for relevant non-U.S. equity securities on days when the U.S. market volatility exceeds a certain threshold. This pricing service uses proprietary correlations it has developed between the movement of prices of non-U.S. equity securities and indices of U.S.-traded securities, futures contracts and other indications to estimate the fair value of relevant non-U.S. securities. When fair value pricing is employed, the prices of securities used by the Fund may differ from quoted or published prices for the same security. Investments in money market funds are valued at net asset value per share.
Various inputs are used in determining the value of the Fund’s investments, as noted above. These inputs are summarized in the three broad levels below:
| Level 1 – | quoted prices in active markets for identical securities. |
| Level 2 – | other significant observable inputs (including quoted prices for similar securities, foreign securities that may be fair valued and repurchase agreements). The table below includes all Level 2 securities. Level 2 securities with values based on quoted prices for similar securities are noted in the Schedule of Investments. |
| Level 3 – | significant unobservable inputs (including last trade price before trading was suspended, or at a discount thereto for lack of marketability or otherwise, market price information regarding other securities, information received from the company and/or published documents, including SEC filings and financial statements, or other publicly available information). |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used to value the Fund’s investments as of March 31, 2021. For a detailed breakout of common stocks by sector classification, please refer to the Schedule of Investments.
| Level 1 | Level 2 | Level 3 | Total | |||||||||||||
| Common Stocks | $ | 2,105,174,210 | $ | 11,673,414 | $ | 939,980 | $ | 2,117,787,604 | ||||||||
| Warrants | 1,173,330 | – | – | 1,173,330 | ||||||||||||
| Repurchase Agreement | – | 30,122,852 | – | 30,122,852 | ||||||||||||
Level 3 Reconciliation:
| Balance as of 12/31/20 | Purchases | Corporate Actions | Realized Gain (Loss) | Unrealized Gain (Loss) | Balance as of 3/31/21 | |||||||||||||||||||
| Common Stocks | $ | 926,000 | $ | 22,200 | $ | 2,700 | $ | – | $ | (5,520 | ) | $ | 939,980 | |||||||||||
| Warrants | 5,000 | – | 0 | – | (5,000 | ) | – | |||||||||||||||||
Repurchase Agreements:
The Fund may enter into repurchase agreements with institutions that the Fund’s investment adviser has determined are creditworthy. The Fund restricts repurchase agreements to maturities of no more than seven days. Securities pledged as collateral for repurchase agreements, which are held until maturity of the repurchase agreements, are marked-to-market daily and maintained at a value at least equal to the principal amount of the repurchase agreement (including accrued interest). Repurchase agreements could involve certain risks in the event of default or insolvency of the counter-party, including possible delays or restrictions upon the ability of the Fund to dispose of its underlying securities. The remaining contractual maturity of the repurchase agreement held by the Fund at March 31, 2021 is overnight and continuous.
Borrowings:
The Fund is party to a revolving credit agreement (the credit agreement) with BNP Paribas Prime Brokerage International, Limited (BNPPI). The Fund pays a commitment fee of 0.50% per annum on the unused portion of the then-current maximum amount that may be borrowed by the Fund under the credit agreement. The credit agreement has a 179-day rolling term that resets daily. The Fund is required to pledge portfolio securities as collateral in an amount up to two times the loan balance outstanding, or as otherwise required by applicable regulatory standards, and has granted a security interest in the securities pledged to, and in favor of, BNPPI as security for the loan balance outstanding. If the Fund fails to meet certain requirements, or comply with other financial covenants set forth in the credit agreement, the Fund may be required to repay immediately, in part or in full, the loan balance outstanding under the credit agreement, which may necessitate the sale of portfolio securities at potentially inopportune times. BNPPI may terminate the credit agreement upon certain ratings downgrades of its corporate parent, which would result in the Fund’s entire loan balance becoming immediately due and payable. The occurrence of such ratings downgrades may necessitate the sale of portfolio securities at potentially inopportune times. BNPPI may also terminate the credit agreement upon sixty (60) calendar days’ prior written notice to the Fund in the event the Fund’s net asset value per share as of the close of business on the last business day of any calendar month declines by thirty-five percent (35%) or more from the Fund’s net asset value per share as of the close of business on the last business day of the immediately preceding calendar month.
The credit agreement also permits, subject to certain conditions, BNPPI to rehypothecate portfolio securities pledged by the Fund up to the amount of the loan balance outstanding. The Fund continues to receive payments in lieu of dividends and interest on rehypothecated securities. The Fund also has the right under the credit agreement to recall the rehypothecated securities from BNPPI on demand. If BNPPI fails to deliver the recalled security in a timely manner, the Fund is compensated by BNPPI for any fees or losses related to the failed delivery or, in the event a recalled security is not returned by BNPPI, the Fund, upon notice to BNPPI, may reduce the loan balance outstanding by the value of the recalled security failed to be returned. The Fund receives a portion of the fees earned by BNPPI in connection with the rehypothecation of portfolio securities.
The current maximum amount the Fund may borrow under the credit agreement is $70,000,000. The Fund has the right to reduce the maximum amount it can borrow under the credit agreement upon one (1) business day’s prior written notice to BNPPI. In addition, the Fund and BNPPI may agree to increase the maximum amount the Fund can borrow under the credit agreement, which amount may not exceed $150,000,000.
As of March 31, 2021, the Fund has outstanding borrowings of $70,000,000. During the three months ended March 31, 2021, the Fund borrowed an average daily balance of $70,000,000. As of March 31, 2021, the aggregate value of rehypothecated securities was $58,721,538.
Transactions in Affiliated Companies:
An “Affiliated Company” as defined in the Investment Company Act of 1940, is a company in which a fund owns 5% or more of the company’s outstanding voting securities at any time during the period. The following transactions were effected in shares of such companies for the three months ended March 31, 2021:
| Affiliated Company | Shares 12/31/20 |
Market Value 12/31/20 |
Costs
of Purchases |
Proceeds from Sales |
Realized Gain (Loss) |
Change
in Net Unrealized Appreciation (Depreciation) |
Dividend Income |
Shares 3/31/21 |
Market Value 3/31/21 |
|||||||||||||||||||
| Industrials - 0.2% | ||||||||||||||||||||||||||||
| Trading Companies & Distributors - 0.2% | ||||||||||||||||||||||||||||
| Houston Wire & Cable 1,2 | 877,363 | $ | 2,447,843 | $ | – | $ | – | $ | – | $ | 2,131,992 | $ | – | 877,363 | $ | 4,579,835 | ||||||||||||
| 2,447,843 | – | 2,131,992 | – | 4,579,835 | ||||||||||||||||||||||||
| Information Technology - 0.2% | ||||||||||||||||||||||||||||
| Electronic Equipment, Instruments & Components - 0.2% | ||||||||||||||||||||||||||||
| Richardson Electronics 1 | 711,475 | 3,351,047 | – | – | – | 1,181,049 | 42,689 | 711,475 | 4,532,096 | |||||||||||||||||||
| 3,351,047 | – | 1,181,049 | 42,689 | 4,532,096 | ||||||||||||||||||||||||
| $ | 5,798,890 | $ | – | $ | 3,313,041 | $ | 42,689 | $ | 9,111,931 | |||||||||||||||||||
| 2 | Non-income producing. |
Other information regarding the Fund is available in the Fund’s most recent Report to Stockholders. This information is available through Royce Investment Partners (www.royceinvest.com) and on the Securities and Exchange Commission’s website (www.sec.gov).